When carrying out an assessment referred to in Article 3(1) relating to the LDP counterparties set out in template 101 of Annex I of Implementing Regulation (EU) 2016/2070, competent authorities shall assess whether the differences between the own funds requirements for credit risk of an institution and those of its peers are driven by any of the following:
different rank ordering of the counterparties included in the LDP samples or different PD levels assigned to each grade;
specific facility types, collateral instruments or location of the counterparties;
heterogeneity in the PDs, LGDs, maturities or conversion factors;
level of independency from external ratings assessment and frequency in the internal rating update.
Where an institution classifies a counterparty as "defaulted" while other institutions classify it as "performing", or vice versa, competent authorities shall apply the approach referred to in paragraph 1 to that counterparty.
Status: Please note you should read all Brexit changes to the FCA Handbook and BTS alongside the main FCA transitional directions. Where these directions apply the 'standstill', firms have the choice between complying with the pre-IP completion day rules, or the post-IP completion day rules. To see a full list of Handbook modules affected, please see Annex B to the main FCA transitional directions.
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Status: In this content, we have included all amendments made by EU exit-related instruments up to end September 2020. There will be more amendments to be made later this year, further to the September QCP.